Asset Pricing in a Production Economy with Incomplete Information Export

@article{citeulike:6102122, abstract = {This paper analyzes an economy in which investors operate under partial information about technology-relevant state variables. It is shown that for Gaussian information structures under incomplete observations, the consumer's problem can be transformed into an equivalent program with a completely observed state: the conditional expectation of the underlying unobservable state variables. A consequence of this transformation is that classic results in finance remain valid under an appropriate reinterpretation of the state variables.}, author = {Detemple, Jerome B.}, citeulike-article-id = {6102122}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/2328442}, citeulike-linkout-1 = {http://www.jstor.org/stable/2328442}, doi = {10.2307/2328442}, issn = {00221082}, journal = {The Journal of Finance}, keywords = {asset\_pricing, conditional\_expectation, consequence, finance, information\_about\_technology, information\_structures, investors, production\_economy, relevant\_state, state\_variables, transformation}, number = {2}, pages = {383--391}, posted-at = {2009-11-12 14:33:43}, priority = {4}, publisher = {Blackwell Publishing for the American Finance Association}, title = {Asset Pricing in a Production Economy with Incomplete Information}, url = {http://dx.doi.org/10.2307/2328442}, volume = {41}, year = {1986} }

TY - JOUR ID - citeulike:6102122 L3 - citeulike-article-id:6102122 N2 - This paper analyzes an economy in which investors operate under partial information about technology-relevant state variables. It is shown that for Gaussian information structures under incomplete observations, the consumer's problem can be transformed into an equivalent program with a completely observed state: the conditional expectation of the underlying unobservable state variables. A consequence of this transformation is that classic results in finance remain valid under an appropriate reinterpretation of the state variables. IS - 2 JF - The Journal of Finance SN - 00221082 EP - 391 TI - Asset Pricing in a Production Economy with Incomplete Information PB - Blackwell Publishing for the American Finance Association VL - 41 SP - 383 KW - asset_pricing KW - conditional_expectation KW - consequence KW - finance KW - information_about_technology KW - information_structures KW - investors KW - production_economy KW - relevant_state KW - state_variables KW - transformation AU - Detemple, Jerome PY - 1986/// UR - http://dx.doi.org/10.2307/2328442 ER -